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Expectations and term premia in EFSF bond yields

Carriero, Andrea; Ricci, Lorenzo; Vangelista, Elisabetta - 2022

Persistent link: https://www.econbiz.de/10013384831

Yield Curve Factors, Factor Volatilities, and the Predictability of Bond Excess Returns

Hautsch, Nikolaus; Ou, Yangguoyi - 2008

additional determinants of future excess returns. Finally, we illustrate that the yield and volatility factors are closely …We introduce a Nelson-Siegel type interest rate term structure model with the underlying yield factors following … autoregressive processes revealing time-varying stochastic volatility. The factor volatilities capture risk inherent to the term …

Persistent link: https://www.econbiz.de/10014219528

Reconstructing the yield curve

Liu, Yan; Wu, Jing Cynthia - In: Journal of financial economics 142 (2021) 3, pp. 1395-1425

Persistent link: https://www.econbiz.de/10012875953

Consistent yield curve prediction

Teichmann, Josef; Wüthrich, Mario V. - In: Astin bulletin : the journal of the International … 46 (2016) 2, pp. 191-224

Persistent link: https://www.econbiz.de/10011576708

Essays on the term structure of interest rates and long-run risks

Hasseltoft, Henrik - 2009

Persistent link: https://www.econbiz.de/10003918843

Financial Markets Efficiency and Economic Behaviour : Evaluating Euro Area Economies

Tomat, Gian Maria - 2023

-- Chapter 5 Bond valuation -- Chapter 6 Yield curves -- Chapter 7 Term structure models -- Chapter 8 Real estate market …, dividend ratio model, yield curve and term structure, all of which are concepts used to analyse pricing and other behaviour in …

Persistent link: https://www.econbiz.de/10014337024

Bond return predictability : economic value and links to the macroeconomy

Gargano, Antonio; Pettenuzzo, Davide; Timmermann, Allan - In: Management science : journal of the Institute for … 65 (2019) 2, pp. 508-540

Persistent link: https://www.econbiz.de/10012000665

Predictive power of the implied volatility term structure in the fixed-income market

Chen, Ren-Raw; Hsieh, Pei-Lin; Huang, Jeffrey; Li, Xiaowei - In: The journal of futures markets 43 (2023) 3, pp. 349-383

Persistent link: https://www.econbiz.de/10014293073

Carry

Koijen, Ralph S. J.; Moskowitz, Tobias J.; Pedersen, … - In: Journal of financial economics 127 (2018) 2, pp. 197-225

Persistent link: https://www.econbiz.de/10011968803

From bond yield to macroeconomic instability : a parsimonious affine model

Recchioni, Maria Cristina; Tedeschi, Gabriele - In: European journal of operational research : EJOR 262 (2017) 3, pp. 1116-1135

Persistent link: https://www.econbiz.de/10011802489